不易财经，财经笔记

What is a SVM?

A Support Vector Machine (SVM) is a discriminative classifier formally defined by a separating hyperplane. In other words, given labeled training data (supervised learning), the algorithm outputs an optimal hyperplane which categorizes new examples.

In which sense is the hyperplane obtained optimal? Let’s consider the following simple problem:

For a linearly separable set of 2D-points which belong to one of two classes, find a separating straight line.

In the above picture you can see that there exists multiple lines that offer a solution to the problem. Is any of them better than the others? We can intuitively define a criterion to estimate the worth of the lines:

A line is bad if it passes too close to the points because it will be noise sensitive and it will not generalize correctly. Therefore, our goal should be to find the line passing as far as possible from all points.

Then, the operation of the SVM algorithm is based on finding the hyperplane that gives the largest minimum distance to the training examples. Twice, this distance receives the important name of margin within SVM’s theory. Therefore, the optimal separating hyperplane maximizes the margin of the training data.